Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0067
Annualized Std Dev 0.1508
Annualized Sharpe (Rf=0%) -0.0441

Row

Daily Return Statistics

Close
Observations 5580.0000
NAs 1.0000
Minimum -0.2011
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0041
Maximum 0.1909
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0095
Skewness -0.5112
Kurtosis 77.3200

Downside Risk

Close
Semi Deviation 0.0069
Gain Deviation 0.0074
Loss Deviation 0.0080
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.5507
Historical VaR (95%) -0.0122
Historical ES (95%) -0.0210
Modified VaR (95%) -0.0021
Modified ES (95%) -0.0021
From Trough To Depth Length To Trough Recovery
1999-02-19 2008-12-16 NA -0.5507 5550 2465 NA
1999-01-05 1999-01-14 1999-02-05 -0.0503 23 8 15
1999-02-09 1999-02-09 1999-02-10 -0.0110 2 1 1
1999-02-17 1999-02-17 1999-02-18 -0.0055 2 1 1
1999-02-11 1999-02-11 1999-02-16 -0.0055 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0 0 0 0.6 0.6 -0.7 0.7 0.7 0.7 0 0 2.7
2000 0 0 0.7 -0.7 0 0.7 0.7 1.3 0.9 -0.9 0.3 0.5 3.6
2001 0.4 0.4 -0.3 0 -1 0.7 -0.6 0.8 -0.2 0.7 0.1 0.8 1.7
2002 0.8 0.3 0.3 0.8 0.4 0.3 -0.9 1 0.5 -0.4 0.2 0.2 3.3
2003 0.2 0 0.1 0.7 0 0.6 0.3 0.6 0.3 -0.8 -0.6 0.8 2.2
2004 0.3 -0.8 -0.5 0.5 0.6 0.1 0.6 0.8 -1.5 -0.5 0.4 1.1 1.1
2005 0.1 -0.3 0.2 -0.6 0.5 -0.1 0.8 0.1 0.1 0.2 -0.8 1.2 1.3
2006 0.6 -1 1.3 -0.9 0.5 0.6 -0.8 -0.8 1.3 -1.9 1.6 0.7 1
2007 0.1 0.5 0.2 0.4 0.6 0.5 -0.7 0.9 -0.5 0.1 1.8 2.1 6
2008 -0.4 -0.5 1.4 2.1 -0.5 -0.1 0.5 0 4.5 -0.5 -1.4 1.8 7
2009 0.3 -0.6 1.4 1.5 0.5 1.2 2.5 1.5 1.1 -0.6 0.4 0.5 10.2
2010 -0.3 0.5 -0.6 -0.1 0.7 0.7 0.5 -0.4 -0.1 -0.4 -1.2 1.4 0.7
2011 1.5 -0.7 0.7 0.2 0.9 1 2.4 1.4 -0.7 0.3 0.5 -0.4 7.3
2012 -0.6 0.7 -1.1 0.1 0 1.4 0.5 0.7 -1.1 -0.5 0.6 0.4 1.2
2013 0.2 0.7 -1.4 0.7 -2.1 0 -0.6 -0.9 0.1 -0.8 -0.5 -0.7 -5.2
2014 0.2 -0.6 -0.2 0.5 0.3 0 0.1 0.2 0.5 -0.2 0.2 0.5 1.7
2015 0.8 0.2 0.4 -0.4 0.2 0.2 0.3 -0.4 0.6 0.3 0.2 0.5 3
2016 0.2 0.2 0.4 -0.4 0.4 0.2 -0.4 1.9 0 0.7 -0.7 -0.1 2.4
2017 -0.2 -0.5 -0.3 -0.3 0.4 0.2 0.3 0 0.5 0.3 0.5 -0.1 0.8
2018 0.1 -0.1 0.6 -0.1 -0.2 0.4 -0.7 -0.4 0.3 0.3 0.2 0.1 0.7
2019 0.9 -0.4 0.2 0.1 -0.2 0.2 0.1 -0.3 0 -0.1 0.1 0 0.6
2020 0 -1.7 -3.4 -0.9 1.4 0.3 0.2 0.5 0.5 -0.2 -0.1 0.4 -3
2021 0.7 1.3 -0.3 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  11.2 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  11.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  10.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  10.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  10.7 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  10.6 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart